Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 6 | 5 | 8 |
| Score | 1.89 | -0.7 | 3.88 |
| Market Cap (Millions USD) | 17986.29 | 16702.74 | 17042.24 |
| Predicted Beta | 0.87 | 0.88 | 0.88 |
| Idiosyncratic Volatility | 2.71 | 2.82 | 2.87 |
Annualized return and volatility
| XLV | |
|---|---|
| Annualized Return | 0.0772 |
| Annualized Std Dev | 0.1756 |
| Annualized Sharpe (Rf=0%) | 0.4399 |
Row
Daily Return Statistics
| XLV | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.0978 |
| Quartile 1 | -0.0048 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0061 |
| Maximum | 0.1205 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0111 |
| Skewness | 0.0013 |
| Kurtosis | 9.1891 |
Downside Risk
| XLV | |
|---|---|
| Semi Deviation | 0.0080 |
| Gain Deviation | 0.0077 |
| Loss Deviation | 0.0083 |
| Downside Deviation (MAR=210%) | 0.0128 |
| Downside Deviation (Rf=0%) | 0.0078 |
| Downside Deviation (0%) | 0.0078 |
| Maximum Drawdown | 0.3917 |
| Historical VaR (95%) | -0.0174 |
| Historical ES (95%) | -0.0260 |
| Modified VaR (95%) | -0.0158 |
| Modified ES (95%) | -0.0216 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | 2011-04-26 | -0.3917 | 864 | 320 | 544 |
| 2000-01-11 | 2001-09-20 | 2005-06-17 | -0.3327 | 1390 | 431 | 959 |
| 2011-05-19 | 2011-08-10 | 2012-01-18 | -0.1733 | 170 | 58 | 112 |
| 2015-07-21 | 2016-02-08 | 2017-03-01 | -0.1709 | 413 | 143 | 270 |
| 2018-12-03 | 2018-12-24 | 2019-10-29 | -0.1544 | 231 | 15 | 216 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | XLV | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 1.3 | 0.8 | 0.0 | 0.3 | -0.6 | 0.0 | 0.9 | -0.1 | 0.0 | 0.7 | 0.7 | 0.0 | 4.0 |
| 2001 | 1.3 | -0.3 | 0.0 | 1.6 | -0.3 | 0.0 | -0.1 | 0.0 | -1.9 | 1.4 | 0.0 | 0.0 | 1.6 |
| 2002 | -0.2 | 1.9 | -0.9 | 1.8 | 0.0 | -4.2 | -2.8 | 0.0 | 3.1 | 1.0 | 0.0 | 0.0 | -0.5 |
| 2003 | 0.0 | 0.0 | 1.4 | 0.3 | 0.0 | 0.5 | -1.5 | 0.0 | 1.8 | 0.0 | 1.6 | 0.0 | 4.1 |
| 2004 | 0.0 | 0.3 | 0.7 | 0.0 | 0.5 | -1.4 | 0.0 | 0.4 | 0.9 | -0.9 | 1.7 | 0.0 | 2.2 |
| 2005 | 1.0 | 0.8 | -0.9 | 0.0 | 0.3 | -0.1 | 0.5 | 0.0 | 0.0 | -0.3 | 1.0 | 0.0 | 2.3 |
| 2006 | 0.6 | 0.1 | 0.0 | -0.9 | 1.4 | 0.0 | 0.0 | 0.5 | 0.0 | -0.7 | -0.1 | 0.0 | 1.0 |
| 2007 | 0.8 | -0.4 | 0.0 | 0.2 | 0.1 | 0.0 | 0.7 | 0.0 | 1.5 | -1.4 | 0.0 | 0.0 | 1.5 |
| 2008 | 0.5 | 0.0 | 1.6 | 1.8 | 0.0 | 0.0 | -0.8 | 0.0 | 0.7 | 0.0 | -5.1 | 0.0 | -1.5 |
| 2009 | 0.0 | 0.0 | 0.0 | -0.2 | 0.7 | 0.3 | 0.0 | -1.6 | -1.4 | 0.0 | 1.8 | 0.0 | -0.6 |
| 2010 | 0.6 | 1.0 | 0.6 | 0.0 | -1.1 | -0.9 | 0.0 | 2.3 | 0.0 | 0.0 | 1.9 | 0.0 | 4.4 |
| 2011 | 1.8 | -0.8 | 0.5 | 0.0 | -1.4 | 1.2 | -1.7 | -0.7 | 0.0 | -1.9 | 0.1 | 0.0 | -2.8 |
| 2012 | 1.0 | 0.5 | 0.0 | 0.4 | -1.8 | 0.0 | 0.1 | 0.0 | 0.6 | 0.8 | 0.0 | 0.0 | 1.6 |
| 2013 | 0.8 | 0.8 | 0.3 | -1.1 | 0.0 | 0.3 | 0.6 | 0.0 | 1.3 | 0.7 | 0.0 | 0.0 | 3.6 |
| 2014 | 0.0 | 0.0 | 0.6 | 0.2 | 0.0 | 1.3 | 0.1 | 0.0 | -1.0 | 0.0 | -0.2 | 0.0 | 0.9 |
| 2015 | 0.0 | 0.0 | -1.0 | 1.4 | 0.4 | 1.1 | 0.0 | -2.6 | 1.0 | 0.0 | 1.7 | 0.0 | 1.8 |
| 2016 | 0.2 | 2.1 | 1.1 | 0.0 | 0.4 | 0.6 | 0.6 | -0.3 | 0.0 | -0.5 | -0.7 | 0.0 | 3.6 |
| 2017 | 0.9 | 1.0 | 0.0 | 0.2 | 1.1 | 0.0 | -0.2 | -0.1 | 0.0 | 0.2 | -0.2 | 0.0 | 3.0 |
| 2018 | 0.0 | -1.6 | 0.0 | 0.0 | 1.2 | 0.0 | 0.0 | 0.0 | 0.5 | 1.3 | 0.0 | 0.0 | 1.3 |
| 2019 | 0.1 | 1.4 | 0.2 | -0.2 | 0.0 | 0.5 | 0.1 | 0.0 | -1.0 | 0.1 | 0.0 | -0.1 | 1.1 |
Row
Rolling Performance Chart
Snail Trail Chart
